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Optimal Bankruptcy Time and Consumption-Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
Jeanblanc, Monique; Lakner, Peter; Kadam, Ashay - In: Mathematics of operations research 29 (2004) 3, pp. 649-671
Persistent link: https://www.econbiz.de/10006417592
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Local Risk-Minimization Under Transaction Costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - In: Mathematics of operations research 23 (1998) 3, pp. 585-612
Persistent link: https://www.econbiz.de/10006419788
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Variance-optimal Hedging in Discrete Time
Schweizer, Martin - In: Mathematics of operations research 20 (1995) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10006420778